There's nothing wrong with that feature as far as I know. If you wish to search by tag, you'll either have to search through the Winamp Library or use something like RRMedia to organize your music and search with it. The Library search is explained here: How do I search songs / Why my search doesn't work ?

Or use a skin that has the RRMedia plugin skinned for it. It is by far the best option for your audio files. INSTANT searches, virtual CD's, Search and browse by artist, title, album, genre and hundreds of other features.